We study the optimal portfolio selection problem with transaction costs. In general, the efficient frontier can be determined by solving a parametric ...
Obviously, the transaction cost has a direct impact on one's investment performance. The net return of a portfolio of securities should be evaluated by taking ...
This work shows how to transform the optimal portfolio selection problem with transaction costs into a quadratic programming model, applicable by ...
This paper proposes a linear programming method for portfolio selection with transaction costs. The problem of portfolio selection with transaction costs is ...
Missing: algorithm | Show results with:algorithm
Our method therefore gives an effective practical solution to nonconvex portfolio optimization problems, even with portfolio constraints and hundreds of assets.
Li ZF, SY Wang and XT Deng (2000). “A Linear Programming Algorithm for Optimal Portfolio Selection with Transaction Costs.” Int J Syst Sci 31(1): 107-117.
The general optimal portfolio selection problem with fixed transaction costs is a complex mathematical programming problem. However, by placing reasonable ...
Linear transaction costs, bounds on the variance of the return, and bounds on different shortfall probabilities are efficiently handled by convex optimization.
The general optimal portfolio selection problem with fixed transaction costs is a complex mathematical programming problem. However, by placing reasonable ...
Apr 2, 2024 · In this work we studied portfolio selection using linear programming. Absolute Standard deviation is used to measure the portfolio risk.